The center back has been linked with a host of clubs - with Besiktas confirming talks with City are underway - after slipping behind Matija Nastasic and Martin Demichelis in the pecking order at City.
Despite affording Lescott just eight Premier League appearances this season, Pellegrini is keen to retain the services of the former Everton man, at least until the end of the season.
When asked by reporters if Lescott was set to depart in January, the Chilean said: "Not for the moment. Joleon Lescott is a very important player for us. He finishes his contract in June. We will see what happens in the future.
"At this moment we are not considering [a loan move]. We will see in the future in the transfer window."
Lescott could start City's FA Cup third-round tie at Blackburn Rovers, with Demichelis and Micah Richards injured.
Pellegrini confirmed he will utilize the full strength of his squad for the Ewood Park trip after a hectic festive schedule.
"We are going to make changes because we are playing too often in the last weeks," he said. "We are going to try to have a good squad and to win the first game in the FA Cup because it is an important cup for our team.
"We are going to play with exactly the same importance in every competition. It is a very traditional competition here in England."